We’ve already talked about Linux and why you should try it, but probably the hardest part of getting used to Linux is getting it in the first place. For Windows users, the simplest way is to use Wubi. But there are some drawbacks to installing with Wubi. For one thing, you can’t suspend or hibernate to save power, which you could do if you had the regular install (i.e. burned and booted from the CD). Also, because Wubi doesn’t get its own partition, it actually uses the Windows boot loader to boot from a disk image of a Linux partition on your Windows drive; this results in slightly reduced disk speed and a dependence on the Windows boot loader (you can’t ditch Windows entirely and run Ubuntu as your main OS). So, Wubi may be good for people who want to test Ubuntu, but once you’ve decided to use it on a regular basis, Wubi probably won’t cut it.
So, the other option is to use UNetbootin, which downloads the contents of a CD image to your flash drive, makes the flash drive bootable. So, as long as your PC can boot from a USB drive (most can), you can install a Linux distribution without burning a single CD.